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Reflected rough differential equations

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  • Aida, Shigeki

Abstract

In this paper, we study reflected differential equations driven by continuous paths with finite p-variation (1≤p<2) and p-rough paths (2≤p<3) on domains in Euclidean spaces whose boundaries may not be smooth. We define reflected rough differential equations and prove the existence of a solution. Also we discuss the relation between the solution to reflected stochastic differential equation and reflected rough differential equation when the driving process is a Brownian motion.

Suggested Citation

  • Aida, Shigeki, 2015. "Reflected rough differential equations," Stochastic Processes and their Applications, Elsevier, vol. 125(9), pages 3570-3595.
    • Handle: RePEc:eee:spapps:v:125:y:2015:i:9:p:3570-3595
    DOI: 10.1016/j.spa.2015.03.008
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    References listed on IDEAS

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    1. Evans, Lawrence Christopher & Stroock, Daniel W., 2011. "An approximation scheme for reflected stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 121(7), pages 1464-1491, July.
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    Cited by:

    1. Falkowski, Adrian & Słomiński, Leszek, 2022. "SDEs with two reflecting barriers driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 164-186.
    2. Deya, Aurélien & Gubinelli, Massimiliano & Hofmanová, Martina & Tindel, Samy, 2019. "One-dimensional reflected rough differential equations," Stochastic Processes and their Applications, Elsevier, vol. 129(9), pages 3261-3281.
    3. David Baños & Salvador Ortiz-Latorre & Andrey Pilipenko & Frank Proske, 2022. "Strong Solutions of Stochastic Differential Equations with Generalized Drift and Multidimensional Fractional Brownian Initial Noise," Journal of Theoretical Probability, Springer, vol. 35(2), pages 714-771, June.
    4. Gassiat, Paul & Mądry, Łukasz, 2023. "Perturbations of singular fractional SDEs," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 137-172.
    5. Falkowski, Adrian & Słomiński, Leszek, 2017. "SDEs with constraints driven by semimartingales and processes with bounded p-variation," Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3536-3557.
    6. Allan, Andrew L. & Liu, Chong & Prömel, David J., 2021. "Càdlàg rough differential equations with reflecting barriers," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 79-104.

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